UYG Options History — January 2011

In January 2011, UYG traded between $11.28 and $11.99. ATM implied volatility averaged 38.7%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 11.4% (HV 20d: 27.3%). Max pain ranged from $10.00 to $11.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-01-19: Highest Volume — 60,510 contracts
  • 2011-01-19: Largest IV spike — 14.1% change
  • 2011-01-10: Highest IV Rank — 17.5%
  • 2011-01-07: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.56$11.28$11.99$11.47$11.55
Max Pain$10.86$10.00$11.33$10.00$11.17
ATM IV38.7%33.6%43.5%38.5%36.9%
Expected Move11.2%9.6%12.8%11.0%10.6%
HV 20d27.3%24.3%32.7%24.3%32.7%
HV 60d34.0%32.5%35.3%34.2%35.3%
IV Rank9.6%1.3%17.5%9.2%6.7%
IV Percentile18.8%1.6%36.9%17.5%12.7%
Term Structure1.5%-0.3%4.1%3.4%1.5%
VWIV40.3%34.8%50.2%39.3%37.9%
Skew 25d6.2%3.4%8.1%4.4%6.8%
Skew 10d13.2%6.3%17.2%9.3%14.8%
Call IV 25d36.9%31.5%42.2%37.3%34.3%
Put IV 25d43.1%38.3%48.7%41.7%41.1%
Bid-Ask Spread %35.1118.0260.3421.2660.34
Gamma HHI0.090.070.190.080.07
Net GEX2.8M1.2M4.3M2.7M1.2M
Net DEX-101.6M-154.9M-43.6M-112.0M-54.1M
Net VEX-517.7K-564.9K-471.5K-487.3K-528.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.242.020.271.04
Total Volume30,90010,14660,51033,31813,224
Total OI409,814.1313,908499,002371,184362,892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$11.47$10.0038.5%11.0%24.3%9.2%39.3%4.4%3.4%2.7M-112.0M-487.3K0.2721.26N/AN/A26,1847,134198,642172,542
2011-01-04$11.41$10.0039.6%11.4%24.5%11.1%40.9%4.3%2.5%2.7M-103.7M-475.3K1.1957.10N/AN/A12,01214,346196,494176,154
2011-01-05$11.65$10.0038.3%11.0%24.9%8.9%39.5%4.0%3.3%2.7M-121.3M-488.3K0.3718.02N/AN/A31,78811,916202,296181,986
2011-01-06$11.53$10.1738.0%10.9%24.6%8.6%38.5%3.4%4.1%3.2M-122.8M-526.6K0.7226.71N/AN/A8,2505,970225,120188,580
2011-01-07$11.36$10.8342.1%12.8%24.9%15.2%46.1%6.4%0.3%3.0M-106.8M-539.0K0.5822.57N/AN/A28,73416,602227,670190,656
2011-01-10$11.28$10.8343.5%12.8%24.5%17.5%50.2%6.6%-0.3%3.3M-107.8M-564.0K0.3621.41N/AN/A12,8824,614248,466199,866
2011-01-11$11.38$10.8339.9%12.3%24.6%11.7%42.4%6.6%0.2%3.8M-122.2M-564.9K0.5722.15N/AN/A6,4443,702258,096200,040
2011-01-12$11.71$10.8336.9%11.7%25.1%6.7%43.2%6.4%0.7%4.1M-152.2M-554.7K0.2438.31N/AN/A46,84811,166258,612202,158
2011-01-13$11.64$10.8340.5%11.6%24.3%12.6%40.8%5.9%0.8%3.3M-128.5M-491.9K0.9325.35N/AN/A7,9807,404227,562206,142
2011-01-14$11.99$10.8338.4%11.0%25.5%9.1%39.8%6.9%0.6%3.4M-154.9M-485.4K0.7039.43N/AN/A27,33019,074230,118209,058
2011-01-18$11.88$11.1737.2%10.7%26.2%7.2%37.7%7.2%1.4%3.3M-144.3M-471.5K0.9830.28N/AN/A11,04010,806238,512221,328
2011-01-19$11.37$11.1742.4%12.2%31.7%15.8%42.7%6.6%1.0%2.9M-88.6M-490.4K0.5136.88N/AN/A40,06220,448238,722226,140
2011-01-20$11.44$11.1741.0%11.8%30.1%13.4%42.3%8.1%0.0%3.6M-100.9M-520.4K0.7719.31N/AN/A18,84614,574261,096233,664
2011-01-21$11.60$11.1737.7%10.8%29.7%8.0%39.0%7.3%1.7%4.3M-113.6M-524.1K0.8119.75N/AN/A17,27414,016259,344239,658
2011-01-24$11.58$11.1737.2%10.7%29.1%7.2%37.9%7.0%1.3%1.5M-60.2M-507.7K0.8851.64N/AN/A12,69611,154163,890150,018
2011-01-25$11.60$11.1737.9%10.9%28.6%8.2%40.5%7.2%1.4%1.6M-61.5M-512.6K2.0254.36N/AN/A14,70029,634169,530154,014
2011-01-26$11.58$11.1736.9%10.6%28.7%6.6%37.0%7.0%1.4%1.5M-60.7M-539.5K0.8725.14N/AN/A8,2267,194178,974174,810
2011-01-27$11.77$11.3333.6%9.6%29.1%1.3%34.8%6.8%2.4%1.8M-72.5M-543.3K0.8052.82N/AN/A6,9365,514181,092178,596
2011-01-28$11.35$11.3336.7%10.5%32.2%6.3%36.6%6.1%1.5%1.2M-43.6M-538.6K0.3759.38N/AN/A37,33213,944183,030180,714
2011-01-31$11.55$11.1736.9%10.6%32.7%6.7%37.9%6.8%1.5%1.2M-54.1M-528.3K1.0460.34N/AN/A6,4746,750179,130183,762